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I checked it out for the past 8 months, using the OEX Index-- It gave some
pretty good signals, but three Sell signals in Feb. were false-- given the
month long rally. Also, it gave a Buy signal last Thurs. Mar. 5 based on a
VIX Spike --
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At 03:52 PM 3/8/98 -0600, you wrote:
>FYI, from Connor's new (third) book, "Connors on Advanced Trading
>Strategies"... the strategy is all here, and on the website it shows a
>"16-day profit"... I have *not* looked at or tested the strategy long term,
>this in only presented here for information (not endorsement). The details
>and charts of recent results are at http://www.mgordonpub.com
>Mike C.
>= = = = = = = = = = = = = = = = = = = = = = = = =
>
>> In sixteen trading days the trading strategy realized
>> Stock Traders 665 Dow points,
>> Futures Traders 90 S&P points,
>> Option Traders 43 OEX points.
>>
>> =================================================
>>
>> This particular trading methodology is based on the Chicago
>> Board Options Exchage's Volatility Index(VIX). The VIX is carried
>> on all end-of-day and real-time services.
>>
>> Larry has figured out how to dynamically measure change in the
>> VIX to anticipate market movement. Does it work? The proof is
>> in the pudding - 665 DOW points in 16 trading days.
>>
>> This VIX Reversal is just one of three in *one* chapter (Chapter 2)
>> of a 31-chapter book.
>>
>> Here are the rules:
>>
>> 1. Take a 5-period RSI of the closing VIX.
>>
>> 2. When the 5-period RSI gets to 70 or above, it signifies the
>> VIX is overbought and the market is oversold.
>>
>> 3. When an RSI reading above 70 is followed by a downtick in RSI,
>> buy the market that day on the close.
>>
>> Short entry:
>> When the 5-period RSI of the VIX gets to 30 or below, it signifies
>> that the VIX is oversold and the market is overbought. When an RSI
>> reading below 30 is followed by an uptick in its RSI,
>> sell the market that day on the close.
>>
>> 4. Exit seven trading days later (or use some type of trailing stop.)
>>
>> 5. A protective stop helps avoid potentially large drawdowns.
>>
>> (The widest stop used by traders in this methodology is 2% of the
>> underlying index. With the DOW at 8000, the stop is 160 points.)
>
>
>
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